Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0280 |
| Annualized Std Dev | 0.2552 |
| Annualized Sharpe (Rf=0%) | 0.1099 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3361.0000 |
| NAs | 1.0000 |
| Minimum | -0.1157 |
| Quartile 1 | -0.0069 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0078 |
| Maximum | 0.1399 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0161 |
| Skewness | -0.1329 |
| Kurtosis | 7.7377 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0116 |
| Gain Deviation | 0.0114 |
| Loss Deviation | 0.0124 |
| Downside Deviation (MAR=210%) | 0.0162 |
| Downside Deviation (Rf=0%) | 0.0115 |
| Downside Deviation (0%) | 0.0115 |
| Maximum Drawdown | 0.7120 |
| Historical VaR (95%) | -0.0243 |
| Historical ES (95%) | -0.0392 |
| Modified VaR (95%) | -0.0243 |
| Modified ES (95%) | -0.0398 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-11 | 2009-03-09 | 2013-10-17 | -0.7120 | 1474 | 312 | 1162 |
| 2018-06-07 | 2020-03-23 | 2021-01-06 | -0.4896 | 651 | 451 | 200 |
| 2015-05-21 | 2016-02-11 | 2017-04-24 | -0.2823 | 485 | 184 | 301 |
| 2014-03-07 | 2014-10-16 | 2015-04-15 | -0.1578 | 279 | 156 | 123 |
| 2018-01-29 | 2018-02-09 | 2018-04-17 | -0.0907 | 55 | 10 | 45 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.8 | 0.4 | 1.2 |
| 2008 | 2.1 | -2.3 | 3.5 | -0.9 | 0.5 | -0.7 | -0.4 | 0.1 | -1 | 0.6 | -6.2 | 4.1 | -1 |
| 2009 | -4 | -0.8 | 2.8 | 2.5 | 2.1 | 3.4 | 0.7 | -3.8 | -3.5 | -3.1 | 2.5 | -1.2 | -2.9 |
| 2010 | 2.6 | 2.6 | 2 | -1.5 | -2.5 | 0.1 | 0.4 | 3.6 | 1.1 | 0 | 2.2 | 0.4 | 11.3 |
| 2011 | 2.4 | -1.7 | 0.7 | -0.4 | -2.4 | 1.4 | -1.5 | -2.6 | -3.9 | -3.7 | -1.6 | 0.5 | -12.3 |
| 2012 | 1.5 | 0.7 | 0.8 | 0.2 | -2.3 | 4.4 | -0.6 | 1.2 | 1 | 1.3 | 0.1 | 1.3 | 9.9 |
| 2013 | 1 | 0.3 | -1.2 | -0.8 | -1.6 | 0.9 | 1 | -1.3 | 0.7 | 0 | -0.6 | 0.3 | -1.4 |
| 2014 | -0.9 | 0.8 | 0.5 | 0.2 | -0.1 | 0.5 | -0.5 | 0.2 | -1.2 | 2.1 | -0.4 | -0.5 | 0.5 |
| 2015 | -0.2 | 0.3 | -0.1 | 0.6 | -0.4 | 0.7 | 0.7 | -2.4 | -0.1 | 0.1 | 0.6 | -0.9 | -1.3 |
| 2016 | -0.5 | 2.4 | -0.4 | -0.1 | -0.1 | 1.1 | -0.7 | 0.7 | 0.9 | -1 | -0.5 | -0.7 | 1 |
| 2017 | 0.9 | 1.6 | 0 | 0.1 | 1.9 | 0.5 | 0.3 | 0.7 | -0.4 | 0.5 | -0.4 | 0.5 | 6.3 |
| 2018 | 0.1 | -0.9 | 1.4 | -0.3 | 1.2 | 0.2 | -0.3 | -0.1 | 0.2 | 1 | -0.3 | -0.1 | 2.1 |
| 2019 | 0.1 | 1 | 2 | -1.2 | 0.1 | 1 | -1.8 | 0.9 | -1.5 | 2 | -1 | 0.4 | 2 |
| 2020 | -2.5 | -0.8 | -3.8 | -3.3 | 1.4 | -0.2 | -1.6 | 1.3 | 0.6 | -0.5 | 2.8 | -0.3 | -6.9 |
| 2021 | 1.9 | 2.2 | -0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-11-09 24.9 SPY 145. -0.0137 -0.0401 -0.0664 -6.00e-4 0.0448 0.242 0.599 GLD 82.2 -6.00e-4 0.0294
2 2007-11-12 24.2 SPY 144. -0.0099 -0.0423 -0.0808 4.80e-3 0.0399 0.228 0.603 GLD 78.3 -4.72e-2 -0.0182
3 2007-11-13 24.6 SPY 148. 0.0305 -0.0262 -0.0447 4.99e-2 0.0712 0.256 0.678 GLD 79.1 1.05e-2 -0.0284
4 2007-11-14 24.9 SPY 148. -0.0028 -0.0016 -0.0397 3.92e-2 0.0656 0.243 0.66 GLD 80.3 1.47e-2 -0.0238
5 2007-11-15 24.4 SPY 146. -0.0144 -0.011 -0.0565 5.70e-3 0.0424 0.226 0.634 GLD 78.0 -2.90e-2 -0.052
6 2007-11-16 24.4 SPY 146. 0.0017 0.0045 -0.0514 8.00e-3 0.0412 0.237 0.607 GLD 77.8 -2.60e-3 -0.0539
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
